Changing skins on Winamp 3 HELP

Hello,
Im having a problem changing the skins on winamp 3. I just downloaded it, I have been using MusicMatch. Heres what happens.
I Start download from web site. (1001winampskins, deviantART) It opens the download screen and states its opening it. Then it opens winamp and thats it. I look all over my computer but dont see the file anywhere. I go into the skins folder and all I have are the two it come with.
If anyone can help me it would be great. Thanks alot